sampleMultiTradeData

<p>Cleaned Tick by tick data for a sector ETF, called <code>ETF</code> and two stock components of that ETF,
these stocks are named <code>AAA</code> and <code>BBB</code>.</p>

datasets

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

sampleMultiTradeData function

Format

Multivariate tick by tick data — sampleMultiTradeData

Multivariate tick by tick data

sampleMultiTradeData: Multivariate tick by tick data

Description

Usage

Arguments

Format